V-Lab: Permian Basin Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Permian Basin Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:53.59% (-1.75%)

Analysis last updated: Friday, April 26, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9052	6.72
$α$	0.1018	8.61
$β$	0.8399	45.61
$γ_{1}$	-0.0233	-0.50
$γ_{2}$	-0.0089	-0.12
$γ_{3}$	0.0312	0.45
$γ_{4}$	-0.0008	-0.01
$γ_{5}$	0.0859	1.17
$γ_{6}$	-0.2245	-2.47
$γ_{7}$	0.2707	3.10
$γ_{8}$	-0.1984	-2.90
$γ_{9}$	0.1364	2.45
$γ_{10}$	-0.1200	-3.09

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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